I document a large increase in intraday market reactions to Consumer Price Index (CPI) news during the 2021--2023 inflation surge, while reactions to other macroeconomic news announcements remain comparatively unchanged. An investor attention measure---constructed from Bloomberg Terminal coverage in the days leading up to the CPI release---can robustly explain the rise in sensitivity to CPI news across asset prices. While the attention measure shares common variation with a variety of factors, none of the alternatives considered can eliminate its explanatory power. Based on this evidence, I construct a similar measure for Federal Open Market Committee (FOMC) announcements. Higher investor attention predicts greater market volatility following FOMC announcements, and further evidence indicates that this increase reflects an amplification of market sensitivity to FOMC news. Overall, the findings point to substantial time variation in markets' sensitivity to macroeconomic news, a larger role for endogenous attention in macro-finance, and potential challenges in measuring monetary policy through financial markets.